Antonakakis, Nikolaos; Chatziantoniou, Ioannis; … - In: Journal of Risk and Financial Management 13 (2020) 4, pp. 1-23
) with a time-varying parameter vector autoregressive model (TVP-VAR) which predicates upon a time-varying variance … connectedness measures of the four most traded foreign exchange rates, comparing the TVP-VAR results to those obtained from three … different rolling-window settings. Finally, we propose uncertainty measures for both TVP-VAR-based and rolling-window VAR …